Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1017 |
| Annualized Std Dev | 0.3094 |
| Annualized Sharpe (Rf=0%) | 0.3288 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4096.0000 |
| NAs | 1.0000 |
| Minimum | -0.1339 |
| Quartile 1 | -0.0086 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0107 |
| Maximum | 0.1659 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0004 |
| Stdev | 0.0195 |
| Skewness | 0.0004 |
| Kurtosis | 5.2902 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0140 |
| Gain Deviation | 0.0135 |
| Loss Deviation | 0.0143 |
| Downside Deviation (MAR=210%) | 0.0183 |
| Downside Deviation (Rf=0%) | 0.0137 |
| Downside Deviation (0%) | 0.0137 |
| Maximum Drawdown | 0.7159 |
| Historical VaR (95%) | -0.0310 |
| Historical ES (95%) | -0.0459 |
| Modified VaR (95%) | -0.0294 |
| Modified ES (95%) | -0.0456 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2017-05-16 | -0.7159 | 2401 | 267 | 2134 |
| 2018-01-29 | 2019-01-03 | 2020-07-06 | -0.3969 | 613 | 235 | 378 |
| 2021-02-17 | 2021-03-08 | NA | -0.2174 | 24 | 14 | NA |
| 2006-05-09 | 2006-06-13 | 2006-11-15 | -0.2075 | 134 | 25 | 109 |
| 2007-07-16 | 2007-08-16 | 2007-08-27 | -0.1901 | 31 | 24 | 7 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | -0.6 |
| 2005 | -0.4 | 1 | 0.1 | 0.9 | 0.2 | -0.1 | 1.3 | 1.2 | 0 | 1.9 | 2.5 | -0.6 | 8.2 |
| 2006 | 0.5 | 0.9 | 0.7 | 0.5 | 0.4 | 0.1 | -1 | 0.3 | 0.3 | 0.2 | -1.4 | -0.8 | 0.5 |
| 2007 | -0.7 | -2.6 | -0.9 | 0.9 | 0.7 | 0.4 | -2.5 | 2.6 | 2.9 | -4.1 | 0.3 | -0.1 | -3.4 |
| 2008 | 4.7 | -2.9 | 5.9 | 1.3 | 1.6 | -2 | 0.2 | -0.2 | 1.4 | -0.1 | -9.8 | 1.5 | 0.9 |
| 2009 | 1.8 | -1.5 | 3.1 | 2.3 | 5 | 0 | 1 | -2.4 | -3.5 | -3.8 | 2.2 | 0.5 | 4.5 |
| 2010 | 2.6 | 1.9 | 1.1 | -0.5 | -2.8 | 0.1 | 1.5 | 2.7 | 0.6 | 0.4 | 1.6 | 0.5 | 10 |
| 2011 | 2 | -0.9 | 1.4 | 0.3 | -1.9 | 1.1 | -0.7 | -1.4 | -3.5 | -3 | 0.1 | 0.3 | -6.2 |
| 2012 | 1.4 | 0.5 | 0.7 | 0.9 | -3 | 2.9 | -0.1 | 0.7 | -0.2 | 2.2 | -0.3 | 2 | 7.9 |
| 2013 | 1 | -0.1 | -1.1 | -1 | -1 | 0.3 | 3.6 | -1.8 | 2.2 | 0.7 | 0.8 | 0.7 | 4.4 |
| 2014 | -0.8 | 0.3 | 3.2 | 1.9 | -1.5 | 1.4 | -0.8 | -0.1 | -2.8 | 2.3 | -3.7 | 0 | -0.8 |
| 2015 | -0.7 | -1.6 | 0.6 | 0.7 | 1.3 | -1.5 | -0.1 | -2.8 | -0.5 | 2.4 | 1 | 0.1 | -1.1 |
| 2016 | -0.8 | 2.2 | -0.2 | -1.2 | -0.7 | 0 | 0.5 | 1.4 | -0.6 | -1.1 | -2.3 | -0.4 | -3.2 |
| 2017 | 0.1 | 1.5 | 0.1 | 0.8 | 1.6 | -0.2 | -0.2 | 0.9 | 0.3 | 0.5 | -0.8 | 0.1 | 4.8 |
| 2018 | -1.1 | -2.2 | 2.1 | 0.7 | 1.3 | 0.5 | -0.8 | 0.7 | -0.5 | 6.7 | 1.9 | -0.9 | 8.5 |
| 2019 | -0.2 | -0.4 | 2.7 | -0.4 | -1.3 | 2.5 | -2.8 | 0.7 | 0 | 1.9 | -1.2 | -0.3 | 1.1 |
| 2020 | -1.9 | -0.6 | -1.9 | -5.6 | 1.7 | 0.5 | 1.4 | 3 | 1.2 | -1.9 | -0.1 | -0.5 | -4.9 |
| 2021 | 3.4 | 5.2 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-12-09 14.6 SPY 119. 3.50e-3 -0.001 0.0199 0.0544 0.117 0.0227 -0.171 GLD 43.8 -0.0052 -0.026
2 2004-12-10 14.5 SPY 119. 1.00e-3 0.0007 0.0202 0.052 0.118 0.0433 -0.164 GLD 43.4 -0.0078 -0.0474
3 2004-12-13 14.4 SPY 120. 8.70e-3 0.0097 0.0213 0.059 0.115 0.0545 -0.150 GLD 43.9 0.0108 -0.0279
4 2004-12-14 14.5 SPY 121. 3.50e-3 0.0228 0.0168 0.0708 0.117 0.057 -0.142 GLD 43.6 -0.0082 -0.0346
5 2004-12-15 14.7 SPY 121. 7.00e-4 0.0176 0.0181 0.0684 0.123 0.0787 -0.145 GLD 44.0 0.0101 -0.0005
6 2004-12-16 14.5 SPY 121. -6.00e-4 0.0134 0.0249 0.0677 0.117 0.0679 -0.148 GLD 43.7 -0.007 -0.0023
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
